Jabir Sandhu is an Analyst in the Financial Markets Department at the Bank of Canada. His primary research interests include asset pricing and risk management. He received his Master of Financial Risk Management from the University of Toronto.
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.